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Barrier Options under L\'evy Processes: a Simple Short-Cut
Jos\'e Fajardo - arXiv.org - 2013
In this paper we present a very simple way to price a class of barrier options when the underlying process is driven by a huge class of L\'evy processes. To achieve our goal we assume that our market satisfies a symmetry property. In case of not satisfying that property some approximations can...
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